Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0308
Annualized Std Dev 0.2252
Annualized Sharpe (Rf=0%) -0.1367

Row

Daily Return Statistics

Close
Observations 3916.0000
NAs 1.0000
Minimum -0.1597
Quartile 1 -0.0052
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0055
Maximum 0.1341
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0142
Skewness -0.4741
Kurtosis 19.9921

Downside Risk

Close
Semi Deviation 0.0103
Gain Deviation 0.0108
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0104
Downside Deviation (0%) 0.0104
Maximum Drawdown 0.6736
Historical VaR (95%) -0.0195
Historical ES (95%) -0.0347
Modified VaR (95%) -0.0195
Modified ES (95%) -0.0195
From Trough To Depth Length To Trough Recovery
2006-12-22 2020-03-18 NA -0.6736 3584 3330 NA
2005-09-07 2005-12-20 2006-12-18 -0.1967 324 74 250

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA 0.3 0 0.9 1.3 0.4 2.9
2006 3.1 0.3 0.1 1.5 1.7 -0.4 0.7 0.4 0.5 -0.1 0.5 0.2 8.8
2007 -0.5 0.8 0.4 -0.2 1 0.3 0 1.6 1 -2.5 2 1.1 5.2
2008 2.2 -1.7 4.1 1.7 -1.1 0 -0.4 0 2.6 2.2 -6.2 1.2 4.4
2009 0 -2.3 1.9 0.9 3.5 0.1 -0.8 -0.5 -1.3 -5.1 0.1 -2.2 -5.8
2010 0.1 1 0.9 -0.7 -1.2 -1.7 -0.4 2.2 1.3 -0.4 1 0.1 2.3
2011 1.7 -0.5 -0.3 0.2 -0.2 -0.1 0.3 -0.9 0.4 -1.9 0.6 0.7 -0.2
2012 0.9 0.5 0.3 0.1 -2.3 1.7 0.1 0.4 -0.5 1.6 -0.5 1.4 3.8
2013 0.4 -0.4 -0.8 -0.6 -1.9 1.6 0.8 -0.3 0.4 0.1 0 0.3 -0.5
2014 -0.8 0.3 0.4 -0.2 0 0.2 -1.1 0.5 -1.1 0.7 -1 -1 -3.1
2015 -0.1 0.6 -0.2 0.9 -0.8 0.5 -0.2 -0.9 -0.3 -0.4 0.9 -1.2 -1.4
2016 -0.3 1.7 0.5 -0.8 0 0.6 -0.2 -0.5 0.4 -1.3 0.3 0.6 1
2017 0.4 1.2 0.5 0.5 0 0.6 -0.1 0.2 0.3 0.2 -0.1 0.5 4.2
2018 0.2 -2.1 0.6 -0.3 0.1 0.7 0.1 -0.5 0 1.1 1.2 1.7 2.6
2019 0.1 0.3 0.9 -0.1 -0.6 0.5 -0.2 0.7 -1.1 0.7 0.5 1.3 3.1
2020 -1.1 -2.5 -5.8 -2.4 1 0 0 0.4 -0.4 -1.1 1.3 1 -9.4
2021 0.5 1.6 -0.2 NA NA NA NA NA NA NA NA NA 1.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-08-26  15.0 SPY    121. -0.0068  -0.014   -0.0306   0.0042   0.0835    0.282   -0.198 GLD    43.6 -0.0027   0.0002
2 2005-08-29  15.0 SPY    122.  0.0077  -0.0064  -0.0166   0.0185   0.101     0.321   -0.190 GLD    43.6 -0.0009  -0.003 
3 2005-08-30  15.1 SPY    121. -0.0053  -0.0097  -0.021    0.0046   0.0895    0.314   -0.198 GLD    43.0 -0.0129  -0.0171
4 2005-08-31  15.1 SPY    123.  0.0126   0.0118  -0.0146   0.0151   0.101     0.336   -0.190 GLD    43.4  0.0091  -0.0044
5 2005-09-01  15.1 SPY    122. -0.0007   0.0074  -0.0179   0.0195   0.088     0.388   -0.190 GLD    44.2  0.0189   0.0112
6 2005-09-02  15.1 SPY    122. -0.0018   0.0125  -0.0117   0.0186   0.0905    0.366   -0.194 GLD    44.2  0.0007   0.0147
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart